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4 repositories

OpenRedukti
Public
OpenRedukti is a C++ library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It provides a scripting environment in Python and Ravi (a Lua dialect).
python lua automatic-differentiation quantitative-finance sensitivities curve-construction interest-rate-products pricing-derivatives rate-swaps rate-curves
C
•
GNU General Public License v3.0
•0•8•4•0•Updated Jul 28, 2023Jul 28, 2023
PyRedukti
Public
PyRedukti is a Python library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It wraps the OpenRedukti library.
python cython automatic-differentiation quantitative-finance sensitivities curve-construction interest-rate-products pricing-derivatives rate-swaps rate-curves
Python
•1•11•5•2•Updated Jul 5, 2023Jul 5, 2023
redukti.github.io
Public
HTML
•0•0•0•0•Updated Jul 6, 2019Jul 6, 2019
TestData
Public
Test data used for demo purposes
Lua
•0•0•0•0•Updated Oct 5, 2017Oct 5, 2017